Optimal investment with counterparty risk: a default-density model approach (Q484210)
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scientific article; zbMATH DE number 6381570
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| English | Optimal investment with counterparty risk: a default-density model approach |
scientific article; zbMATH DE number 6381570 |
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Optimal investment with counterparty risk: a default-density model approach (English)
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18 December 2014
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counterparty risk
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contagious loss or gain
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density of default time
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optimal investment
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duality
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dynamic programming
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backward stochastic differential equation (BSDE)
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0.9278891
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0.91214997
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0.90654004
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0.90102565
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0.8909155
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0.8895196
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0.8867866
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0.8849945
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